Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0328
Annualized Std Dev 0.2572
Annualized Sharpe (Rf=0%) 0.1275

Row

Daily Return Statistics

Close
Observations 5587.0000
NAs 1.0000
Minimum -0.2648
Quartile 1 -0.0069
Median 0.0000
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0073
Maximum 0.1605
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0003
Stdev 0.0162
Skewness -0.4072
Kurtosis 21.9136

Downside Risk

Close
Semi Deviation 0.0115
Gain Deviation 0.0124
Loss Deviation 0.0125
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7146
Historical VaR (95%) -0.0227
Historical ES (95%) -0.0368
Modified VaR (95%) -0.0210
Modified ES (95%) -0.0210
From Trough To Depth Length To Trough Recovery
2013-05-15 2020-03-19 NA -0.7146 1977 1724 NA
2008-01-15 2008-10-27 2010-10-13 -0.5303 693 199 494
2000-02-08 2001-04-09 2006-11-06 -0.5237 1696 294 1402
1999-07-07 1999-09-28 1999-12-27 -0.3036 121 59 62
1999-01-11 1999-03-30 1999-04-08 -0.2879 61 55 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -1.6 -1.8 14.9 4.2 9.3 0 -1.1 0 1.3 -4.4 0 0.9 22.1
2000 -0.9 -0.9 0 3 0 -1 0 -3.2 0 0 -1.1 1.2 -2.8
2001 -3.5 1.9 -2.5 -3.3 1.7 -1.6 2.1 0.6 -1.1 -0.9 -1.1 3.8 -4.1
2002 0.9 2.6 -0.3 -0.3 -1.8 0.2 0.4 1.1 1.6 -0.9 -1 -0.8 1.4
2003 0.4 -0.2 -1 -0.6 0.9 1.3 -0.3 0 1.2 0.7 2.8 0.5 5.8
2004 0.6 1.7 -2.2 -3.2 0.2 -0.3 0.6 1.1 2.2 -0.1 0.5 0.4 1.3
2005 0.7 -1.3 -0.7 1.9 0.6 -0.3 0 0.3 0 0.4 0.1 -0.1 1.6
2006 -0.6 0.4 -0.1 0 0.7 -0.5 -1.2 1.2 -1.5 -0.1 0.1 0 -1.8
2007 0.4 -2.6 0.4 1.1 1.5 0.7 0 0.9 1.9 -4 0.2 0.2 0.6
2008 1.2 -2 1.1 1.5 1.8 -1 0.4 1.1 -0.7 0.4 -6 -0.3 -2.6
2009 0.3 -1.2 3.6 1 2 0.9 0.8 -0.5 -0.3 -2.2 0.8 -0.5 4.7
2010 0.7 1.5 1.2 -0.7 0.2 0.5 1.3 2.9 0.8 0 1.7 0.8 11.5
2011 1.5 -0.1 1 0.1 -1.5 1.1 0.5 -0.7 -2.1 -3 -1.5 0.4 -4.2
2012 1 0.7 1.3 0 -1.9 2.5 0.1 0.6 1.3 1.5 0.2 1.5 9
2013 0.1 0 -1.1 -0.7 -1.4 0 1.2 2 2.1 0.5 0.6 0.3 3.6
2014 0.1 -0.7 0.2 0.1 -0.7 0.6 0.4 -1 -0.8 -0.3 -2.9 -0.8 -5.7
2015 -1.8 0.1 0.5 0.5 -1 1.5 2.4 -1.9 -0.9 0.2 1.7 0.1 1.3
2016 -1.4 3.6 -0.1 -1.4 -0.8 -0.1 -0.1 0 0 -0.1 0 -0.7 -1.2
2017 -0.2 0.8 -0.9 0.4 0.7 0.5 0.1 0.6 0.7 -0.3 -0.5 0.6 2.6
2018 -0.1 -0.4 1.2 -0.9 1 1.4 -0.9 0.3 -0.2 1.6 -1 -0.4 1.5
2019 -0.7 -0.3 -0.8 -0.6 1.2 1.3 -0.8 0.6 0 1 -1.5 -0.1 -0.7
2020 -2.2 -0.3 -4.8 -2.3 3.4 2 -0.8 0 -0.1 -1.1 1.7 -0.9 -5.5
2021 1.5 0.3 0.8 NA NA NA NA NA NA NA NA NA 2.6

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart